Pricing models of volatility products and exotic variance derivatives / Yue Kuen Kwok, Hong Kong University of Science and Technology, Hong Kong; Wendong Zheng, Credit Suisse, Hong Kong.
| Author/creator | Kwok, Y. K., 1957- |
| Other author | Zheng, Wendong (Financial analyst) |
| Format | Electronic |
| Edition | First edition. |
| Publication Info | Boca Raton : C&H/CRC Press, 2022. |
| Description | 1 online resource |
| Supplemental Content | Full text available from Taylor & Francis eBooks |
| Subjects |
| Series | Chapman & Hall/CRC financial mathematics series |
| Contents | Volatility trading and variance derivatives -- L©♭vy processes and stochastic volatility models -- VIX derivatives under consistent models and direct models -- Swap products on discrete variance and volatility -- Options on discrete realized variance -- Timer options. |
| Abstract | "Pricing Models of Volatility Products and Exotic Variance Derivatives summarizes most of the recent research results in pricing Models of Derivatives on discrete realized Variance and VIX. It begins with the presentation of Volatility trading and uses of Variance Derivatives, and then moves on to discuss the robust replication stRategy of continuously monitored Variance Swaps using portfolio of options, which is one of the major milestones in pricing theory of Variance Derivatives. The replication procedure provides the theoretical foundation of the construction of VIX. Features Useful for practitioners and quants in the financial industry who need to make choices between pricing Models of Variance Derivatives. Fabulous resource for researchers interested in pricing and hedging issues of Variance Derivatives and VIX products. Could be used as a textbook in a topic course on pricing Variance Derivatives at universities"-- Provided by publisher. |
| Bibliography note | Includes bibliographical references and index. |
| Access restriction | Available only to authorized users. |
| Technical details | Mode of access: World Wide Web |
| Source of description | Description based on print version record and CIP data provided by publisher. |
| Issued in other form | Print version: Kwok, Y. K. 1957- Pricing models of volatility products and exotic variance derivatives First edition. Boca Raton : C&H/CRC Press, 2022 9781032199023 |
| Genre/form | Electronic books. |
| LCCN | 2021056124 |
| ISBN | 9781000584271 (epub) |
| ISBN | 9781003263524 (ebook) |
| ISBN | (hardback) |
| ISBN | (paperback) |
Availability
| Library | Location | Call Number | Status | Item Actions |
|---|---|---|---|---|
| Electronic Resources | Access Content Online | ✔ Available |